[HTML][HTML] Effects of full collateralization in commodity futures investments
JD Woodard, TM Egelkraut, P Garcia… - Journal of Derivatives & …, 2011 - Springer
The study extends research on the impact of commodity futures investments on portfolio
performance by incorporating levered futures directly into the optimization problem …
performance by incorporating levered futures directly into the optimization problem …
[HTML][HTML] A primer on commodity hedge funds
C Bauer, T Heidorn, D Kaiser - Journal of Derivatives & Hedge Funds, 2012 - Springer
This article aims to describe the universe of long–short commodity funds and to identify the
style that generates the highest α. We construct an extensive database of 683 active …
style that generates the highest α. We construct an extensive database of 683 active …
[HTML][HTML] Performance of Indian commodity futures market: An analysis
This paper studies the diversification benefits of adding commodity futures to a traditional
portfolio of stocks and bonds. When compared with traditional portfolios, unconstrained and …
portfolio of stocks and bonds. When compared with traditional portfolios, unconstrained and …
Improved diversification through a mix of oil and equities
H Xu - Research in Finance, 2010 - emerald.com
This study presents evidence of a statistically significant negative correlation between crude
oil and equities over the past 20 years. Including proper proportions of negatively correlated …
oil and equities over the past 20 years. Including proper proportions of negatively correlated …
The Value Effect of Crude Oil Derivatives Transactions by Oil Producers
H Xu, EC Lin, JW Kensinger - Research in Finance, 2011 - emerald.com
Previous studies show that crude oil is negatively correlated with stocks but has almost the
same rate of return as stocks, and so adding crude oil into a portfolio with equities can …
same rate of return as stocks, and so adding crude oil into a portfolio with equities can …